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Quantitative Research - Equity Derivatives Group - Associate/ Vice President

J.P. Morgan

J.P. Morgan

Worcester, MA, USA
Posted on Wednesday, May 29, 2024

Job Description

If you are passionate, and have strong desire to set and achieve challenging goals, you have found the right team.

As an Associate/ Vice President in the Quantitative Research Group, the main mandate of the team is to support the Asia Pacific Equity Derivatives business, with a wide range of responsibilities covering model and payoff development to support existing and new client demands; trading, risk management and hedging automation and optimization; analyze and develop trading & hedging strategies. The team also acts as a culture carrier for modern data-driven business methods and brings data-driven decision making and automation to the Equity businesses.

The role consists in providing front-office modelling and risk-management support to equity trading desk (covering both Exotics and Flow).

Job Responsibilities:

  • Developing and enhancing models for pricing and risk management of equity derivatives (variance/volatility payoff, parametric volatility models, risk-decomposition/replication/optimization)
  • Analyzing the risks of complex derivatives portfolios
  • Implementing new models / products in our quant library, writing model documentation and working closely with the technology team for model testing and deployment in production
  • Providing day-to-day support to the trading desk: discussing new ideas, analyzing complex problems and providing solutions
  • Develop data-driven decision-making tools by leveraging in-house core analytics and build fully automated systems with a high degree of quantitative optimization

Required qualifications, capabilities, and skills:

  • A PhD or Master’s Degree in a quantitative discipline from a top-tier institution
  • Minimum 3 years of relevant experience
  • Excellent knowledge of derivatives pricing and risk management theory, vanilla options and volatility products
  • Outstanding problem-solving abilities and communication skills
  • Quantitative experience in the Equity business (volatility product modeling and hedging strategy), combined with a strong background in Mathematics/Engineering (ideally with knowledge in Stochastic Calculus, Probability theory, Financial Engineering)
  • A strong coding background with proficiency in Python, C++, and relevant quantitative packages (numpy, pandas)
  • Good expertise in statistical modelling including standard techniques, linear, convex & conic optimization
  • Communicate skills and drive to engage with the business and bring cultural change towards a modern data-driven approach to business.